Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0023
Annualized Std Dev 0.2129
Annualized Sharpe (Rf=0%) 0.0108

Row

Daily Return Statistics

Close
Observations 2928.0000
NAs 1.0000
Minimum -0.1201
Quartile 1 -0.0067
Median 0.0004
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0072
Maximum 0.0807
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0134
Skewness -0.6263
Kurtosis 7.8949

Downside Risk

Close
Semi Deviation 0.0098
Gain Deviation 0.0088
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.5460
Historical VaR (95%) -0.0206
Historical ES (95%) -0.0316
Modified VaR (95%) -0.0221
Modified ES (95%) -0.0463
From Trough To Depth Length To Trough Recovery
2014-09-04 2020-03-23 NA -0.5460 1619 1381 NA
2011-04-25 2011-10-03 2014-08-27 -0.3243 842 113 729
2010-01-20 2010-05-25 2010-09-30 -0.1570 177 88 89
2009-08-04 2009-09-02 2009-10-13 -0.0977 50 22 28
2009-07-02 2009-07-08 2009-07-15 -0.0763 9 4 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA 1.2 0.9 -0.7 -2.2 -3.4 2.4 0.2 -1.6
2010 2.6 1.4 1.3 -1.4 -1.2 1.1 1.3 1.8 1.1 0.7 2.1 0.6 12.1
2011 1.1 -0.5 1.5 0.1 -1.7 1 -0.2 -0.1 -3.5 -2.8 -1 -0.2 -6.4
2012 2.7 1.3 -0.1 1.1 -0.8 3.4 0.6 0.3 0.9 1.5 -0.2 0.6 11.8
2013 1.2 0.1 -0.3 -1 -1.3 -0.2 1.7 0.7 1.2 0.1 0.6 0.1 2.9
2014 0 -1.1 0.7 0.3 -0.4 0.6 0.4 0.9 -2.1 0.6 -2.5 0.4 -2.4
2015 -2.2 0.9 1.8 0.9 0.5 -0.6 0.9 -2.9 0.7 -0.4 1.2 0.2 0.8
2016 -0.4 2.8 0.2 -0.5 -1.3 0.5 -0.6 -0.5 0.3 -1.6 -2 -0.2 -3.2
2017 0.3 1.5 0.3 0.4 0.5 1.1 0 0.9 1.1 -1.3 0.4 1.2 6.6
2018 0.1 -0.6 1.9 -0.9 0 2 -1.3 0 0.4 2.9 -0.9 -0.5 3.1
2019 0.3 -0.3 0.4 0.3 0 1.6 1.1 0.4 0.6 0.6 -1.2 0.1 3.9
2020 -2 -1.9 -4.4 -4.5 0.4 1.2 -2 0.7 0.3 -0.4 3.8 -0.6 -9.5
2021 2.1 0.8 -0.4 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-06-19  24.5 SPY    92.0  0.0037  -0.0265   0.0226   0.207    -0.311   -0.252   -0.185 GLD    91.9  0.0032  -0.00290
2 2009-06-22  23.9 SPY    89.3 -0.03    -0.039    0.0008   0.0859   -0.322   -0.280   -0.211 GLD    90.5 -0.0148  -0.0061 
3 2009-06-23  23.8 SPY    89.4  0.0008  -0.025    0.0037   0.109    -0.320   -0.285   -0.215 GLD    90.9  0.0042  -0.011  
4 2009-06-24  24.3 SPY    90.1  0.0086  -0.0156  -0.0129   0.106    -0.313   -0.276   -0.215 GLD    91.4  0.00580 -0.0097 
5 2009-06-25  24.4 SPY    92.1  0.0218  -0.0015   0.0269   0.108    -0.301   -0.26    -0.195 GLD    92.3  0.0094   0.0076 
6 2009-06-26  24.9 SPY    91.8 -0.0026  -0.0022   0.0101   0.125    -0.284   -0.265   -0.193 GLD    92.3 -0.0002   0.0042 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart